Conditional Expectation and the Variability of Equity REIT Returns

摘要：

Applying a conditional expectation model on a large sample of equity REITs for the period 1977 through 2003, we document strong evidence of time-varying betas on systematic risk loadings. This finding is robust across REIT portfolios and controlling for a real estate sector factor. This result suggests that corporate characteristics such as size and the book/market ratio as well as the real estate sector factor are important determinants of REIT returns. We confirm that REIT returns are predictable before 1992 but not thereafter. In particular, we find that conditional risk loadings explain this predictability. Our findings suggest that the previously documented predictability of REITs using latent variables is not necessarily inconsistent with market efficiency.

作者: Jinliang Li Robert M. Mooradian Shiawee X. Yang

作者单位: Tsinghua University Northeastern University

会议类型: 国际会议

会议名称: 2008年中国金融国际年会

会议地点: 大连

会议语种:英文

页码: 1-38

在线出版日期: 2008-07-02（万方平台首次上网日期，不代表论文的发表时间）